24 lipca 2011

Mały krok w kierunku Unii fiskalnej. Czy cena franka szwajcarskiego osiągnęła szczyt? Jaki jest wpływ siły franka na gospodarki z regionu CEE?

W obecnym tygodniu miał miejsce znaczący szczyt UE. Szyszki na szczycie ustaliły wiele zmian w prowadzeniu EMU, w tym sposób pomocy dla Grecji i dla innych krajów w potrzebie. Doszło nie tylko do "selektywnego bankructwa Grecji" (21%), ogłoszenia nowego "planu Marshala", Europejskiego Funduszu Walutowego (w sensie działania, nie statutu), zaakceptowania lepszych warunków pomocy dla PIIGS (z punktu widzenia np. Grecji czy Irlandii) ale przede wszystkim rozszerzono zakres, kompetencje i działania EFSF oraz ESM (po 2013). Małe podsumowanko po angielsku:
  • A new Greek EFSF/IMF programme of €109bn until mid-2014
  • The private sector participation is worked out together with the IIF. The statement says the private sector contribution during the period until mid-2014 would be €37bn, plus a further €12.6bn through bond repurchases, bringing the total to close to €50bn. For the period until 2019, the total net contribution of the private sector will be €106bn.
  • Reuters gave same break-down of figures. It includes Greek’s refinancing needs, €20bn to recapitalise Greek banks, €35bn for collateral enhancements that will allow Greek banks to borrow from the ECB. The latter would only be required temporarily for the period during which Greece has an SD rating, which they European Councils expects to be relatively short.
  • All EFSF loans, including those to Ireland and Portugal, will have a maturity of 15-30 years, with a grace period of 10 years, and an interest rate of 3.5%. (czyli dotowanie)
  • The European Council says the structure of the private sector involvement for Greece shall be no precedent for others, as Greek was in a unique situation (a to dobry kawał)
  • The EFSF and the ESM will have three new tools at their disposal. Flexible credit lines, the right to purchase bonds in secondary markets, but only on order of the ECB and under circumstances of extreme financial instability, and the right to recapitalise banks. They can do all of this in respect of countries non in an EFSF/ESM programme.
  • The PSI scheme would be worked out together with the IIF. Reuters writes it would include three bond exchange offers, one debt rollover of current bonds to bonds with maturities of up to 30 years, and a bond purchasing scheme. The IIF predicted it would attract a 90% participation rate. The average loss to Greek bondholders would be 21%.
  • The European Council also agreed on what it called a Marshall Plan for Greece, with an increase in the level of EU investments in the region.
za eurointelligence. Zresztą polecam przeczytać wszystko pod linkiem, bo jest dużo komentarzy polityków i inwestorów. Dodatkowo polecam raport Nomury, który poszczególne elementy ustaleń opisuje w szczegółach np.
  • udział w PSI zakłada się na 90% poprzez skup obligacji przez dłużnika, wymianę obligacji czy rolowanie
  • w jaki sposób Grecja pomimo selektywnego bankructwa będzie w stanie mogła dalej finansować się w ECB (zakup papierów AAA za pożyczone pieniądze, które następnie zastawi w ECB)
  • "Plan Marshala" - zakłada się przeniesienie (realokację) funduszy strukturalnych do Grecji (!). Tutaj moje pytanie - jak to wpłynie na dostępność funduszy strukturalnych dla innych państw w tym Polski? Czy zamierza się zwiększyć kwoty w ramach obecnych funduszy strukturalnych? Czy wpłynie to na budżet UE na kolejne 7 lat (obecnie dyskutowany)? Jak Polska na tym ewentualnie ucierpi?
by wymienić kilka. Raport tutaj - 20110722-NOM-RS-EU-suprise. Dla mnie jednym z najważniejszych faktów jest NIEpodniesienie kapitału EFSF. Innymi słowy zwiększono obowiązki i zakres EFSF, ale wielkość funduszy pozostała taka sama. Jeśli zatem Hiszpania czy Włochy znajdą się w potrzebie pieniędzy po prostu zabraknie w kasie. Co wtedy? Nie wiadomo, ale wątpię aby dokonano tak łatwo zasilenia EFSF kwotą 2-3 bln EUR (ang. trillions), szczególnie nie widzę ochoty wśród zwykłych Niemców, jak dowiedzą się, że teraz mają dać dodatkowe 700 mld EUR na pomoc. Drugi największy minus to fakt, iż potrzeba jeszcze parę głosowań by "zaklepać parę ustaleń". Co więcej padają argumenty (sama Merkel to przyznała w dyskusjach), iż Niemcy (parlament) muszą wyrazić zgodę na zwiększenie kapitału EFSF ale i na samą pomoc. Prawdopodobnie nowy zakres obowiązków EFSF uzyska dopiero we wrześniu (więcej od NOM: There is an element of implementation risk given the time needed to enact the measures, with some requiring parliamentary approval. We trust that necessary approvals will be achieved, but as in most parliamentary votes, we can expect last-minute deal-making and press coverage around voting counts. Significantly, most parliaments are already on summer recess so it is unlikely for the EFSF to secure its new powers altogether before September) O minusach i wątpliwościach dobrze też napisał AEP tutaj - polecam. Jednym słowo poczyniono mały krok w kierunku unii fiskalnej, ale całe kolejne "10 metrów" jest jeszcze przez EMU. Nie jest wcale powiedziane, iż jak przyjdzie co do czego (a w mojej opinii rynki będą chciały z czasem przetestować założenia), politycy odpowiednio zagłosują, oraz jak zachowają się obywatele w całej EU. Rynki pozytywnie przyjęły efekt ustaleń na szczycie. Mając na uwadze powyższe warto wrócić do notowań franka szwajcarskiego. Jak już nie raz pisałem (etykieta chf), a szczególnie w: Frank szwajcarski europejskim złotem Przyczyna siły Franka Kimono rozszyfrowana siła franka zależy od rozwiązania problemów EMU (patrz wykres, który przedstawia korelację EURCHF, a CDS PIIGs czy spread pomiędzy rentownością obligacji PIIGS a niemieckimi bundami). Odstawienie w czasie problemów EMU skłania do przeceny franka i wzrostu ceny obligacji krajów PIIGS. Pytanie zasadnicze, na jak długo? Czy był to już szczyt notowań franka? Na ostatnie pytanie ciekawie odpowiadają analitycy CBK oraz MS. Oba wskazują na duży potencjał zarobku przy graniu na spadek notowań franka. Morgan Stanley mocno motywuje to fundamentalnie (gospodarka, eksport, import, różnica w stopach procentowych itp), zapomina jednak wg mnie o źródle - siła franka zależy od banków szwajcarskich które dokonują realokacji aktywów z innych walut, do franka. Dopóki ten proces nie dobiegnie do końca to szczytu być nie może). Nie mniej jednak polecam raport z uwagi na wiele ciekawych wykresów. 20110721-MS-PULSE-CHF Commerzbank z kolei pięknie motywuje szczyt z punktu widzenia analizy technicznej. Na bazie specyficznego instrumentu (Bank of England Swiss Franc Trade Weighted Index) wyznaczony został potencjalny szczyt: Dodatkowo motywowane to jest notowaniami na innych crossach z frankiem. Wygląda obiecująco muszę przyznać. 20110720-CBK-Chart Watch-CHF Na zakończenie mam jeszcze jeden raport od BarCapa (BARC). Raport dotyczy wpływu silnego franka na gospodarki z regionu CEE, a w szczególności szacuje potencjał zagrożenia dla gospodarki i banków wynikający z popadnięcia w tarapaty tzw franciszków (osób posiadających kredyty hipoteczne we frankach). Wstępne wnioski wskazują, iż nie ma takiego zagrożenia w Polsce, chociaż nie da się ukryć, iż wysoki franek pogorszy stan gospodarki (np. koniunkturę w postaci spodziewanego spadku konsumpcji i kredytów konsumpcyjnych). Wybrane wykresy poniżej (nie mam obecnie czasu więc proszę o ewentualne sprawdzenie danych u źródła) Sam raport dostępny tutaj - 20110720-BARC-EEMEA-FX-CHF.

8 komentarzy:

  1. W najbliższy czwartek pierwszy test nastrojów - aukcja włoskich papierów.
    Z kolej w tym tygodniu ogromna podaż obligacji z US (prawie 99 mld usd, netto jednak mniej) co powinno utemperować byki...

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  2. Angela Merkel faces revolt in Germany over rescue deal
    German Chancellor Angela Merkel is facing a storm of protest at home after yielding to EU calls for radical action to shore up Spain and Italy, raising doubts over her ability to implement the package.

    [..]

    The EFSF's latest newsletter shows that the fund is deeply reliant on China, Japan and the Mid-East to buy its bonds. Central banks and sovereign wealth funds bought 54pc of the last issue in June. This offers stability, but leaves EMU prey to geopolitics.
    [...]

    Jacques Cailloux from RBS said EU leaders are at last "getting the message" but the deal is not enough to halt the crisis at any level. Greece's debt burden will fall by just 10 to 20 percentage points of GDP, still leaving it "unsustainably high" near 140pc next year.
    http://www.telegraph.co.uk/finance/financialcrisis/8658331/Angela-Merkel-faces-revolt-in-Germany-over-rescue-deal.html

    I jeszcze jedna rzecz - legalność całej pomocy. Na jesieni rusza proces (we wrześniu?). Będzie interesująco.

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  3. 1
    The FT reports this morning that US money market funds, a big source of liquidity providers to the global banking system, have dried up their supply due to the eurozone crisis, and to fears about the European banking system - which were not exactly alleviated by the EU’s mendacious stress tests. Money market interest rates have not gone up, but the supply has dried up for any liquidity of three months or more, and the situation has been particularly severe for Italian and Spanish banks. The share of the two countries’ banks in the prime market funds had gone down from 6.1% in 2009 to 0.8% as of end-June. One additional factor behind the money market funds’ nervousness is the uncertainty over the US debt ceiling, a discussion that will come to a head this week.

    2
    German political establishment rallies behind euro rescue decisions...

    The leaders of the ruling coalition and the opposition rallied behind the euro rescue decisions taken at the crisis summit last Thursday. Frankfurter Allgemeine Zeitung reports that Philipp Rösler, vice Chancellor and FDP party leader, backed Angela Merkel’s summit decisions. Also Sigmar Gabriel, SPD party leader and Cem Özdemir, co-leader of the Greens, said that would vote in favour. So Bundestag president Norbert Lammert of Merkel’s Christian democrats decided not to hold any special meetings of Bundestag during the summer holiday and let the German parliament vote only in September.

    ... but FDP financial expert asks for reintroduction of the Greek drachma

    There is opposition within Merkel’s coalition nevertheless and the most vocal representative is former financial policy spokesman Frank Schäffler. Speaking to mass circulation daily Bild he asked Greece to reintroduce the drachma. “Greece will never be able to service its debt”, he said. “For that reason the country needs an exit option. The country must return to the drachma. Only by doing that, can its economy get competitive again.”

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  4. 3
    wazne (eurostat...)
    French finance minister promises: no austerity in France as result of the euro rescue

    Speaking to Le Monde the French Finance minister Francois Baroin promises there will be no austerity program in France as a result of the euro rescue measures. The background was that Prime Minister Francois Fillon said the French debt would increase by €15bn until 2014 as a result of the help France gave to Greece. Baroin explains that the decisions did not imply any budgetary cost to France because the help was now granted by the EFSF and no longer by countries like France on a bilateral basis as had been the case in the first rescue package for Greece. However Eurostat has demanded that all countries participating in the EFSF financing must show the guarantees they give to the EFSF in their national debt statistics so the French debt (as that of all the other participating countries) will grow as a result of the summit decisions.

    4
    Wolfgang Münchau on last Thursday’s agreement

    In his FT column, Wolfgang Münchau writes that any agreement would have needed to pass three tests: will it lead towards debt sustainability in Greece? Will it reduce the danger of contagion? And is the private sector involvement going to be work and be fair? His answer to the three questions is no, no and yes, respectively. He says the estimated NPV reduction of 21% of Greek debt is less than half of what is necessary; the flexibility in the EFSF provides no benefit if not accompanied with an increase in the lending ceiling, which is why markets will disbelieve that the eurozone has any strategy in place to prevent a speculative attack on the Italian bond market. The best aspect about the agreement relates to private sector involvement – if only because it ends the tedious debate about the subject. The terms were bank-friendly, no doubt, though not as cynical as those of the French rollover proposal. He concludes that the eurozone will survive the summer – which was not clear at the beginning of last week – but that the crisis will resume
    http://www.eurointelligence.com/article/article/on-second-thoughts.html?tx_ttnews[backPid]=901&cHash=2638d75e5db75d36ca92c8e058c3d638

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  5. Moody's: Outlook for Hungary's banking system remains negative
    Moody's
    July 26, 2011

    The outlook on Hungary's banking system remains negative, says Moody's Investors Service in a Banking System Outlook, reflecting its expectation that (i) asset quality will continue to deteriorate; (ii) profitability will remain weak; and (iii) the operating environment in Hungary remains uncertain.

    The outlook expresses Moody's expectations for the fundamental credit
    conditions in this sector over the next 12-18 months.

    Moody's says that the Hungarian banking system is characterised by high
    foreign-currency lending -- exceeding 70% -- especially in Swiss francs.
    Household borrowers, particularly, lack income in foreign currency that
    would act as a natural hedge.

    "The large amount of foreign-currency lending to households underpins the
    rating agency's expectation that asset quality will deteriorate further,
    as these borrowers' ability to service their debt has weakened
    significantly following more than 30% depreciation of the Forint against
    the Swiss Franc in recent years," explains Simone Zampa, a Moody's Vice
    President, Senior Analyst and author of the report.

    In addition, corporate loans are affected by the weak performance of the
    commercial real estate and the small and medium enterprises sectors.
    According to the Hungarian National Bank, the level of problem loans in
    banks' portfolios is expected to rise above 13% in 2011 from 11% in 2010
    for the retail sector, and above 15% in 2011 from 12.4% in 2010 for the
    corporate sector.

    Profitability in the Hungarian banking system declined significantly in
    2010, with several banks reporting losses, and Moody's expects earnings
    to remain weak in 2011. Profits have been eroded by (i) the rapidly
    growing cost of risk; (ii) shrinking business volumes; and (iii) a new
    tax on banks' assets.

    Although Moody's economic outlook for Hungary in 2011 is more positive,
    the operating environment for banks remains challenging given the
    relatively distressed household and commercial real-estate sectors.
    Moreover, Hungarian banks have limited opportunities to lend to the
    well-performing export-oriented companies that are currently driving the
    economic recovery, as these companies receive much of their financing
    from their foreign parents.

    These negative factors reduce the ability of the less well-capitalised
    banks to maintain a sufficient capital buffer in the current uncertain
    macroeconomic environment. This will likely lead to further shrinking of
    risk-weighted assets and deleveraging from some weaker banks.

    "Banks remain highly dependent on foreign-currency wholesale funding
    compared with other countries in the region, which is a risk factor
    reflected in our negative system outlook," adds Mr. Zampa.

    Despite the negative system outlook, Moody's believes that a major
    stabilising factor for the banking system has been its high level of
    foreign ownership (at 80% of system-wide bank capital at year-end 2010).
    Financially stronger parents have so far provided support in the form of
    capital and liquidity throughout the recent financial crisis and global
    recession. Moody's believes that this support is likely to continue,
    given the wider Central and Eastern Europe strategy of the parent banks
    and the fact that many of them are from countries that have strong
    economic and political links with Hungary. While not expected, the rating
    agency notes that support could decline in the future, if parent banks'
    strategic priorities and cost-benefit rationale change; Moody's ratings
    anticipate continuing support at current levels.

    Moody's report, entitled "Banking System Outlook: Hungary", is available
    on www.moodys.com

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  6. Hungary Banking System Outlook Stays Negative, Moody’s Says
    Hungarian banks’ asset quality will deteriorate further and profitability will remain “weak” over the next 12 to 18 months as the operating environment remains “uncertain,” Moody’s Investors Service said.

    “The large amount of foreign-currency lending to households underpins the rating agency’s expectation that asset quality will deteriorate further as these borrowers’ ability to service their debt has weakened significantly, following a more than 30 percent depreciation of the forint against the Swiss Franc in recent years,” Simone Zampa, a Moody’s vice president, wrote in a report today.

    Sixty-four percent of Hungarian household mortgages were denominated in foreign currencies as of May 31, according to the central bank. Hungarian banks and the government agreed in May to fix the exchange rate on foreign-currency mortgages through 2014 to relieve borrowers of mounting debt repayments.

    Local banks, including the units of Raiffeisen Bank International AG (RBI), Erste Group Bank AG (EBS), UniCredit SpA (UCG) and Intesa Sanpaolo SpA (ISP), tightened credit after the 2009 global recession boosted delinquencies and many homeowners who had borrowed, predominantly in Swiss francs, defaulted as the forint weakened.

    The forint, which fell to a record low against the Swiss franc last week, has weakened 5.6 percent against the franc in July alone.

    Moody’s forecast that bank earnings will remain weak in 2011 as profits are eroded by rapidly growing risk costs, shrinking business volumes and a banking tax, according to the report. Lenders’ operating environment “remains challenging given the relatively distressed household and commercial real- estate sectors,” it said.

    “These negative factors reduce the ability of the less well-capitalized banks to maintain a sufficient capital buffer in the current uncertain macroeconomic environment.”

    The rating company expects support from the foreign owners of Hungarian banks to continue at current levels.

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  7. Erste Group
    "Poland: Loan growth accelerated in 2Q, driven by corporate demand. Following the good 1Q11 results, which
    were better than expected at BRE Bank, BZ WBK, Pekao and PKO BP, mainly due to lower provisioning and better
    income, we expect the profitability of Polish banks to further improve in 2Q11. This is mainly due to some positive
    effects from the recent rate hikes (25bp in January and 75bp during 2Q11 to 4.5%), some accelerating corporate
    loan demand and stable provisioning. On the other hand, inflationary pressure and further bonus accruals might
    further increase operating costs. After the Swiss franc depreciation in 1Q11 of 2.5% q/q vs. the zloty, we observed
    the Swiss franc coming back in 2Q11 (+5.5% q/q vs. the zloty), which should result in good loan volume numbers
    and top line growth. The NBP data (as of June 30) showed improving loan growth dynamics in 2Q11 vs. 1Q11, with
    customer loans up 4.5% q/q (vs. +1.2% q/q in 1Q11), helped by accelerating 4.8% sequential corporate loan
    growth (vs. +2.8% q/q in 1Q11) and 4.3% sequential retail loan growth (vs. +0.4% q/q in 1Q11). Consumer loans
    were flat q/q and housing loan growth dynamics accelerated to 6.7% q/q (vs. 1.0% q/q in 1Q11). On the funding
    side, customer deposits increased 1.6% q/q.
    Poland: PLN 500-700mn in revenues from banking tax in 2012 and new rules to limit FX lending. The Polish
    FinMin forecasts revenues from the banking tax coming in at PLN 500-700mn in 2012. The cash received from the
    banking tax will be spent on a stabilization fund. The banking tax will be paid by Polish banks and branches of
    foreign-based banks. The value of the tax will depend on whether it is a branch of a foreign bank or a Polish bank.
    The new banking tax will reduce banking sector profits by 3-4% in 2012. The greatest negative influence will be
    seen at BRE Bank, Kredyt Bank and Millennium, as they finance their mortgage portfolio with loans from mother
    companies located abroad. A smaller negative effect will be seen at PKO BP and Getin. The FinMin plans for the
    new banking tax to be approved by the existing Parliament and that it will be valid from January 1, 2012. Bank
    representatives say that the new tax will have a negative effect on the sector and that it will curb loan portfolio
    growth in the coming years. There has also been news on efforts to curb growth in FX lending. The Financial
    Supervision Authority is implementing new regulations that increase the risk for CHF- and EUR-denominated loans
    and mortgages. The new regulations should limit the growth of value of CHF- and EUR-denominated loans and
    mortgages, but also increase the capital requirements for the existing CHF and EUR loan portfolio. The value of
    CHF- and EUR-denominated loans and mortgages for retail clients reached PLN 175bn at the end of April 2011.
    The new regulations will be valid from 2012. The Association of Polish Banks estimates that the new regulations
    will force Polish banks to raise equity by PLN 3.3bn. The news is negative for banks that possess a great value of
    CHF- and EUR-denominated mortgages and loans (Millennium, BRE, Getin)."

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  8. Schäuble wants to re-introduce debate on voting rights for EFSF recipients

    In another example of EU debates moving around in circle, Wolfgang Schäuble has raised the issue of a withdrawal of voting rights for member states that received EFSF funds, according to FT Deutschland, quoting from an interview with Stern magazine. When asked whether this could actually be implemented, he said: “Just wait for it.” He also said yesterday that Berlin was opposed to a “carte blanche” for the EFSF to get active on secondary markets. Reuters writes that this comment contributed to yesterday’s market tensions.





    EFSF up and running by year end

    Meanwhile, according to a Reuters report, the EU expects the EFSF’s new powers to be agreed by the end of the year. The story quotes anonymous official as saying that the aim was to fast-track the legislation, so that the EFSF itself will be in a position to undertake the Greek debt repurchasing programme.



    The report also offers some details on the Greek debt buy back timetable. The Greek government will present a formal offer to banks by early September. The funds allotted to the debt collateralisation and the debt buy back might shuffled around – within a grand total of €55bn. Furthermore, the buyback would focus on bonds trading at less than 65 cents on the euro. The remaining €45bn in loans would also fall under the umbrella of the EFSF – rather than the bilateral.

    Euro zone officials said the reminder of euro zone bilateral loans to Greece from the first bailout -- 45 billion euros -- would be replaced by EFSF loans in the second programme. Also interesting was the official’s comment that not all of the amounts of the programme would involve physical transfers of money. Some can be given in EFSF bonds, which might not be sold on the market.

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